/heston-model_pricing-formulas-and-calibration

Final project of Topics in Quantitative Finance Summer 2020 in National School of Development, Peking University

Primary LanguageJupyter Notebook

Heston Model: pricing formulas and calibration

Hi, I am Jace. This my final project of Topics in Quantitative Finance in Summer 2020, taught by Taiho Wang, a visiting professor in NSD PKU where I studied Economics dual becaler's degree and professor in Baruch College, the City University of New York

All work and comment is in the graded(93/100) report, in which we implmented the pricing formulas in Heston model and conduceted calibration the Heston model to market data from scratch, mostly using scipy and numpy.

  • Result: